Gamma-Ray Bursts are likely associated with a catastrophic energy release in stellar mass objects. Electromagnetic observations provide important, but indirect information on the progenitor. On the other hand, gravitational waves emitted from the central source, carry direct information on its nature. In this context, I give an overview of the multi-messenger study of gamma-ray bursts that can be carried out by using electromagnetic and gravitational wave observations. I also underline the importance of joint electromagnetic and gravitational wave searches, in the absence of a gamma-ray trigger. Finally, I discuss how multi-messenger observations may probe alternative gamma-ray burst progenitor models, such as the magnetar scenario.